Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model
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Publication:4836988
DOI10.2307/2291150zbMath0818.62079OpenAlexW4253116120MaRDI QIDQ4836988
Sook Fwe Yap, Gregory C. Reinsel
Publication date: 21 June 1995
Full work available at URL: https://doi.org/10.2307/2291150
numerical examplesimulation studyGaussian estimationerror-correction modelBrownian motion processtesting for cointegrationfull-rankfinite- sample propertieslikelihood ratio test procedurepartially nonstationary autoregressive moving average modelsreduced-rank estimatortesting the number of unit roots
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)
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